Difference between revisions of "Why Identical Charts Are Showing Different Strategy Trading Results"
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=== Synchronous Mode === | === Synchronous Mode === | ||
− | In SA mode when you click the button to toggle | + | In SA mode when you click the button to toggle automation on, the starting point of an order generation on chart A is shifted from the beginning of the chart to the bar before the current bar and the strategy is recalculated. Meanwhile, if you create an identical chart B nearby to see the strategy calculating in real-time (forward-testing) and you expect to see at least the first order triggered at the same time on the same bar as on chart A, you should perform a calculation to find out the correct data range setting for chart B so that both charts' strategies have the same order generation starting points. If the starting points are different, then the results are also different. |
<div style="background-color: #E3FBE5;">'''Example''': Let's say a signal applied to chart A contains only 1 line: '''buy next bar at close-15 limit;''' and the MaxBarsBack is set to '''50'''. It means the script will be be calculated only at close bar # '''51''' to place the guaranteed-to-be-executed '''buy limit''' at the open of the bar, that is, bar # '''52''', when the chart is created and the script is applied. Assume that this is a '''1 minute''' chart, the current bar # is '''122''' and its time (closing time of the bar) is '''11:02'''. The current bar is not closed yet, so the script cannot be calculated on the current bar. You enable automated execution by clicking on the SA button. The order executed historically on bar # 52 is wiped from from the chart and the script is recalculated. To emulate the same situation on another chart B you will need to create identical chart right after you enable automated exectuion on chart A, but the bar # '''1''' of the char B should be the bar with time = '''10:10''' ('''11:02 (bar # 122) - 1 ''(the bar that is previous to the current bar, where the script was calculated for the first time to generate the order on chart A)'' - 50 (MaxBarsBack) - 1 (current bar)'''. In other words, the bar # '''121''' on chart A and the bar '''51''' on chart B should be the same bar ('''10:10''').</div> | <div style="background-color: #E3FBE5;">'''Example''': Let's say a signal applied to chart A contains only 1 line: '''buy next bar at close-15 limit;''' and the MaxBarsBack is set to '''50'''. It means the script will be be calculated only at close bar # '''51''' to place the guaranteed-to-be-executed '''buy limit''' at the open of the bar, that is, bar # '''52''', when the chart is created and the script is applied. Assume that this is a '''1 minute''' chart, the current bar # is '''122''' and its time (closing time of the bar) is '''11:02'''. The current bar is not closed yet, so the script cannot be calculated on the current bar. You enable automated execution by clicking on the SA button. The order executed historically on bar # 52 is wiped from from the chart and the script is recalculated. To emulate the same situation on another chart B you will need to create identical chart right after you enable automated exectuion on chart A, but the bar # '''1''' of the char B should be the bar with time = '''10:10''' ('''11:02 (bar # 122) - 1 ''(the bar that is previous to the current bar, where the script was calculated for the first time to generate the order on chart A)'' - 50 (MaxBarsBack) - 1 (current bar)'''. In other words, the bar # '''121''' on chart A and the bar '''51''' on chart B should be the same bar ('''10:10''').</div> | ||
<div style="background-color: #E3FBE5;">'''Note 1''': The opening tick of the current bar is already passed, so the order execution prices will differ on the charts.</div> | <div style="background-color: #E3FBE5;">'''Note 1''': The opening tick of the current bar is already passed, so the order execution prices will differ on the charts.</div> |
Revision as of 15:28, 1 April 2020
One should not expect 100% identical results between backtested, calculating in real-time (forwardtesting) and auto trading charts. The results may be close but it is almost impossible to make them absolutely the same.
Contents
Difference in Order Execution
Even if two charts (chart A is auto trading and chart B is calculating in real-time) are set up identically to generate the same orders on the same bars, the execution of those orders depends on different factors for each of the charts. To learn more, please read about the general differences in the results of Backtesting vs Live Trading.
Different Starting Points of Strategy Calculation
When a chart is created and a strategy is applied to the chart, it is backtested, immediately displaying entries and exits. It is important to understand that the calculation's starting point in this case is not the first bar due to MaxBarsBack value (aka the Maximum number of bars a study will reference) the first bar when an order can be generated (to be placed on next bar) is bar # X, where X = MaxBarsBack value + 1.
Synchronous Mode
In SA mode when you click the button to toggle automation on, the starting point of an order generation on chart A is shifted from the beginning of the chart to the bar before the current bar and the strategy is recalculated. Meanwhile, if you create an identical chart B nearby to see the strategy calculating in real-time (forward-testing) and you expect to see at least the first order triggered at the same time on the same bar as on chart A, you should perform a calculation to find out the correct data range setting for chart B so that both charts' strategies have the same order generation starting points. If the starting points are different, then the results are also different.
To summarize: it is hard, but it is possible to get at least first identical trade on 2 charts (chart A is auto trading, chart B is calculating in real-time), though it doesn't mean it is possible to make all trades 100% the same between these 2 charts.
Asynchronous Mode
Auto trading in asynchronous mode shows all the orders generated by your strategy on chart and the starting points of script calculation are the same on chart A that is auto trading in AA and the same chart B that is calculating in real-time nearby, but this mode is supposed to give you different picture on chart and at broker end by its design.